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Theoretical confidence level problems with confidence intervals for the spectrum of a time series

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  • Jon Faust

Abstract

Textbook approaches to forming asymptotically justified confidence intervals for the spectrum under very general assumptions were developed by the mid-1970s. This paper shows that under the textbook assumptions, the true confidence level for these intervals does not converge to the asymptotic level, and instead is fixed at zero in all sample sizes. The paper explores necessary conditions for solving this problem, most notably showing that under weak conditions, forming valid confidence intervals requires that one limit consideration to a finite-dimensional time series model.

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File URL: http://www.federalreserve.gov/pubs/ifdp/1996/575/default.htm
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File URL: http://www.federalreserve.gov/pubs/ifdp/1996/575/ifdp575.pdf
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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 575.

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Date of creation: 1996
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Handle: RePEc:fip:fedgif:575

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Related research

Keywords: Time-series analysis;

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Cited by:
  1. DUFOUR, Jean-Marie, 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Universite de Montreal, Departement de sciences economiques.
  2. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO.
  3. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
  4. Neville Francis & Michael T. Owyang & Jennifer E. Roush & Riccardo DiCecio, 2010. "A flexible finite-horizon alternative to long-run restrictions with an application to technology shock," Working Papers 2005-024, Federal Reserve Bank of St. Louis.

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